algotradeV7.afl

AFL CODE FOR TRADING (VERSION: V7)
**********
 _SECTION_BEGIN("TRADE");
Filename 	= _DEFAULT_NAME();
SubmitOrders = True; 
Tracing = False;    
MarketON=093000; TradeON = 094000; TradeOFF =153000; MarketOFF=160000; LM=155500;
US_ON = TimeNum() >= 093000 AND TimeNum() <=160000;
US_OFF = TimeNum() > 160000 ;//day's over*/
US_Trade_On=TimeNum() >= 094000 AND TimeNum() <=153000;
MarketLM=TimeNum() >=155500 AND Now( 4 )<=160000;
ABName=IBName=Name();//getfndata("Alias");
//IBName =Name();//getfndata("Alias");

LP=GetRTData("Last");
BID=GetRTData("Bid");
BIDSIZE=GetRTData("BidSize");
ASK=GetRTData("Ask"); 
ASKSIZE=GetRTData("AskSize");
H52=GetRTData("52WeekHigh");
L52=GetRTData("52WeekLow");
CGFRY=GetRTData("Change");
CHP=GetRTData("High");
CLP=GetRTData("Low");
CLD=GetRTData("Prev");
TV=GetRTData("TotalVolume");
LTV=GetRTData("TradeVolume");

///Strategies 
AA=C;
BB=H;
CC=L;
DD = Min( BB, CC );
EE = 100 * DD/AA;
FF = MA( EE, 10 );
GG = IIf( FF >= 2.15 OR FF <= 0.40, FF, 1 );
HH = BB / ( BB + CC );
II = MA( HH, 10 );
JJ = 100 * GG * II;
x_temp_est = 0;
x_est_last = 0;
P_temp = 0;
P_last = 0;
Q = 0.022;
R = 0.617;
P = (H +L)/ 2;
z_real = EMA(EMA(C,20),4) ;
x_est_last = (z_real + TSF(C,20));
 
for (i=0;i<BarCount;i++)
{
x_temp_est = x_est_last;
P_temp = P_last + Q;
K = P_temp * (1.0/(P_temp + R));
z_measured = z_real;
x_est = x_temp_est + K * (z_measured - x_temp_est);
P = (1- K) * P_temp;
P_last = P;
x_est_last = x_est;
 
}
"x_est_last:" + x_est_last; 
B1=MA(C,20)>x_est_last;
S1= MA(C,20)<x_est_last;
B2=(JJ-Ref(JJ,-1))/(C-Ref(C,-1))>0;
S2=(JJ-Ref(JJ,-1))/(C-Ref(C,-1))<0;



periods =20;
Percent =0.4;
DaysBack = 0; 
RABars = 0; //initialize
TotalBars = cum(1); //how many bars in database
FinalBar = lastvalue(TotalBars);//number value of last bar
EndDay = FinalBar - DaysBack;//for other than 0 DaysBack
StartDay = EndDay - periods+1;//starting point for line
Master1 = iif(TotalBars >= StartDay and TotalBars <= EndDay,1,0);//defined period
RABars = iif(Master1,ref(RABars,-1)+1,0); // daily counter in defined period
RABarKntr = iif(Master1,sum(RABars,periods),0); //Sum of daily counts
/*  Regression Analysis Computations  */
TempMeanX = iif(RABarKntr == periods,sum(RABarKntr,periods),0);  // Sum of individual day counters
MeanX1 = hhv(TempMeanX,TotalBars)/periods;  //  Final number divided by number of days
MeanX = lastvalue(MeanX1); 
TempMeanY =  iif(RABarKntr == periods, sum(c,periods),0);
MeanY1 = hhv(TempMeanY,TotalBars)/periods ;  //  Final sum  divided by number of days
MeanY = lastvalue(MeanY1);  
Slope1 = iif(TotalBars == EndDay,linregslope(c,periods),0);
Slope2 = iif(hhv(Slope1,FinalBar)>=0,hhv(slope1,FinalBar),llv(Slope1,FinalBar));
slope = lastvalue(Slope2);
Intercept = MeanY -Slope * MeanX;
/*  Linear Regression Line = Intercept plus the Slope times RABarKntr  */
LRLine = Intercept + Slope * RABarKntr; 
"LRLine:" + LRLine; 
LRPup=MA(C,4)>ValueWhen(LRLine,C);//*
"LRUp:" + LRPUp; 
LRPdown=MA(C,4)<ValueWhen(LRLine,C);//*
"LRdown:" + LRPdown; 
B3=Cross( MACD(2,8 ), Signal (4,10,2 ) )+Cross( StochK( 8, 2 ), StochD( 10,2,2))+ (RSI(4)>20 AND RSI(4)<75)
	+Cross(EMA(C,2),EMA( C,8 ))+Cross(MA(OBV(),2),MA(OBV(),8))+Cross(MA(PDI(),2),MA(MDI(),8))+Cross(CCI(2),CCI(8));
S3=Cross(Signal (4,10,2 ),MACD(2,8 ))+Cross(StochD( 10,2,2 ), StochK(8,2 ))+(RSI(4)>40 AND RSI(4)<90)+Cross(EMA(C,8),EMA( C,2 ))
	+Cross(MA(OBV(),8),MA(OBV(),2))+Cross(MA(MDI(),8),MA(PDI(),2))+Cross(CCI(2),CCI(8));

"B1:" + B1 + "B2"+ B2 +"B3:" + B3;  
"S1:" + S1 + "S2"+ S2 +"S3:" + S3;  

//Filtering condition
ZZPercent=0.5;
ZZ=Zig(C,ZZPercent);
ZZbottom=(ZZ<Ref(ZZ,-1));// AND (ZZ<Ref(ZZ,1));
ZZtop=(ZZ>Ref(ZZ,-1));// AND (ZZ>Ref(ZZ,1));
"ZZ"+Ref(ZZ,1)+"ZZbottom"+ZZbottom +"ZZtop"+ZZtop;


percdiff =0.2; /* peak detection threshold */
fwdcheck = 1;
PK= Peak( H, percdiff, 1 ) == High;
TR= Trough( L, percdiff, 1 ) == Low;
mindistance = 0.2;
validdiff = percdiff/10;
xTr1 = ValueWhen( Tr, L, 1 );
xTr2 = ValueWhen( Tr, L, 2 );
xTr3 = ValueWhen( Tr, L, 3 );
xTr4 = ValueWhen( Tr, L, 4 );
xPK1=ValueWhen(PK,H,1);
xPK2=ValueWhen(PK,H,2);
xPK3=ValueWhen(PK,H,3);
xPK4=ValueWhen(PK,H,4);
valB=valuewhen(ZZbottom,C,1);
valT=valuewhen(ZZtop,C,1);
val=valuewhen(ZZbottom,C,1);
peakdiff = (ValueWhen( PK, H, 1 )/ValueWhen( PK, H, 2 )+ValueWhen( PK, H, 2 )/ValueWhen( PK, H, 3 )+ValueWhen( PK, H, 3 )/ValueWhen( PK, H, 4 ))/3;
Troughdiff=(ValueWhen( tr, L, 1 )/ValueWhen( tr, L, 2 )+ValueWhen( tr, L, 2 )/ValueWhen( tr, L, 3 )+ValueWhen( tr, L, 3 )/ValueWhen( tr, L, 4 ))/3;
downline= O<(xPK1+xTr1)/2 AND xPK1<=xPK2 ;//*
upline= xTr1>=xTr2 AND O>(xPK1+xTr1)/2 AND C<xPK1*1.2;
"xTr1"+xTr1+"xTr2"+xTr2+"xPK1"+xPK1+"xPK2"+xPK2+"Downline"+downline+"upline"+upline;

/////1. Candle Based/////////////////////////////////////////////////////////////////////
SL = ( HHV( H, 26 ) + LLV( L, 26) )/2;// standard, base, or kijun-sen line
TL = ( HHV( H, 9 ) + LLV( L, 9 ) )/2;// turning, conversion, or tenkan-sen line
DL = Ref( C, 25 );						// delayed close price, or chikou span
Span1 = Ref( ( SL + TL )/2, -25 );		//Span1 and Span2 define the clouds
Span2 = Ref( (HHV( H, 52) + LLV(L, 52))/2, -25);
above = IIf(TL>Span1 AND TL>Span2,1,0);
within = IIf((TL>Span1 AND TL<Span2) OR (TL<Span1 AND TL>Span2) ,1,0);
below = IIf(TL<Span1 AND TL<Span2,1,0);
//ICHIMOKU=IIf((Cross(TL,SL) AND above),"STRONGbuy",IIf((Cross(TL,SL) AND within),"MEDIUMbuy",IIf((Cross(TL,SL) AND below),"WEAKbuy",IIf((Cross(SL,TL) AND below),"STRONGsell",IIf((Cross(SL,TL) AND within),"MEDIUMsell",IIf((Cross(SL,TL) AND above),"WEAKsell",0))))));
ICHIMOKUbuy=IIf((Cross(TL,SL) AND above),3,IIf((Cross(TL,SL) AND within),2,IIf((Cross(TL,SL) AND below),1,0)));
ICHIMOKUsell=IIf((Cross(SL,TL) AND below),3,IIf((Cross(SL,TL) AND within),2,IIf((Cross(SL,TL) AND above),1,0)));
/* Candle Codes */
len=15;
VolumeIdx = V / MA( V, len );
AvgRange = Sum( abs(O-C),len )/len;
White = IIf((C>O) AND ((C-O)>=0.8*(H-L)),1,0) AND (C-O)>AvgRange;
Black = IIf((C<O) AND ((O-C)>=0.8*(H-L)),1,0) AND (O-C)>AvgRange;
Doji  = IIf(abs(O-C)<=0.1*(H-L),1,0);
/* Dark Cloud Cover [Bear] */
DCC = IIf(Ref(White, -1) AND Black AND C<=Ref(((H+L)/2),-1) AND O>Ref(C,-1), 1,0);
/* Piercing Line [Bull] */
PL = IIf(Ref(Black, -1) AND White AND C>=Ref(((H+L)/2),-1) 	AND O<Ref(C,-1), 1,0);
/* Evening Doji Star [Bear] */
EDS = IIf(Ref(White, -2) AND Ref(Doji, -1) AND Black AND 	C<=Ref(((H+L)/2),-2), 1,0);
/* Morning Doji Star [Bull] */
MDS = IIf(Ref(Black, -2) AND Ref(Doji, -1) AND White AND 	C>=Ref(((H+L)/2),-2), 1,0);
/* Hammer [Bull] */
HAM = IIf( (H-L > 1.5*AvgRange) AND (C > (H+L)/2)  AND (O > C) AND 	(VolumeIdx > 2), 1, 0);
/* Bearish Engulfing */
BRE = IIf(Black AND Ref(White, -1) AND (C < Ref(O, -1))  AND (O > Ref(C, -1)), 1,0);
/* Bullish Engulfing */
BLE = IIf(White AND Ref(Black, -1) AND (C > Ref(O,-1))  AND (O < Ref(C,-1)), 1,0);
//34//
//###########################################
WhiteBody = C > O;
BigWhite = (Close - Open)/Open > 0.015 AND (Close - Open) * 2 > High - Low;
BlackBody = C < O;
BigBlack = (Open - Close)/Open > 0.015 AND (Open - Close) * 2 > High - Low;
Big = abs((Close - Open)/Open) > 0.014;
LongUpperShadow = H - Max(O,C) > (H - L)*0.67;
LongLowerShadow = Min(O,C) - L > (H - L)*0.67;
rng = abs((C-O)/O);
lowerShadow = Min(O,C) - L;
uppershadow = H - Max(O,C);
body = abs(O-C);
rngx = abs(H - L);
rngy = H-L;
shaven = lowerShadow < rngy*0.1;
ShavenBottom = L == Min(O,C);
ShavenHead = H == Max(O,C);
prevSize = abs(Ref(O,-1)-Ref(C,-1));
currentSize = abs(O-C);
fwh = Ref(H,-4);
fwl = Ref(L,-4); 
isPrevLargeWhite = Ref(big,-1) AND Ref(whitebody,-1);
SmallRealBody = rng < 0.003 AND rng >0;   
Diff = abs((prevSize - currentSize) / currentSize);
DownTrend = (H < Ref(H,-1) AND L < Ref(L,-1));
UpTrend = (H > Ref(H,-1) AND L > Ref(L,-1));
isPrevUpTrend = Ref(uptrend,-1);
RealBodyGapUp = Min(O,C) > Max(Ref(O,-1),Ref(C,-1));
RealBodyGapDown = Max(O,C) < Min(Ref(O,-1),Ref(C,-1));
FallingWindow = Ref(downtrend,-1) AND GapDown();
RisingWindow = Ref(uptrend,-1) AND GapUp();
isfalling = bigblack AND fallingwindow;
isrising = bigwhite AND risingwindow;
rwh = Ref(H,-4);
rwl = Ref(L,-4);
isFallingBlack = Ref(fallingwindow,-1) AND Ref(blackbody,-1);
horw = Ref(H,-2); 
windowOpen = C < horw;
opensInside = O < Ref(O,-1) AND O > Ref(C,-1);
similarSize = diff <= 0.25;
GapUpFromWhite = realBodyGapUp AND isPrevLargeWhite AND isPrevUptrend;
isPrevLargeBlack = Ref(big,-1) AND Ref(blackbody,-1);
isPrevDownTrend = Ref(downtrend,-1);
GapDownFromBlack = realBodyGapDown AND isPrevLargeBlack AND isPrevDowntrend;
isRisingWhite = Ref(risingwindow,-1) AND Ref(whitebody,-1);
lorw = Ref(L,-2);
windowOpenx = C > lorw;
Doji = C == O AND V > 0;
LongLeggedDoji = doji AND (H - L)/L > 0.01;
StarUp = smallRealBody AND gapUpFromWhite;
DojiStarUp = doji AND gapUpFromWhite;
DojiStarDown = doji AND gapDownFromBlack;
StarDown = smallRealBody AND gapDownFromBlack;
isPrevDownTrendx = Ref(downtrend,-3);
firstDoji = Ref(doji,-2); 
secDojiLower = Ref(doji,-1) AND Ref(realBodyGapDown,-1);
isPrevUpTrendx = Ref(uptrend,-3);
secDojiHigher = Ref(doji,-1) AND Ref(realBodyGapUp,-1);
BeltHold = shavenbottom AND shavenhead AND big;
Engulfing = Max(O,C) > Ref(Max(O,C),-1) AND Min(O,C) < Ref(Min(O,C),-1);
UmbrellaLine = uppershadow < rngx*0.1 AND lowershadow > body*2; 
//====================================================================================================
//----------------------------------------
// Bearish
//----------------------------------------
 
// Kicker
KBR = Ref(O,-1) < Ref(C,-1) AND O <= Ref(O,-1) AND C <= O;
 
//Evening Doji Star
EveningDojiStar = Ref(dojiStarUp,-1) AND blackbody AND big AND C < Ref((O + C)/2,-2);
/*
A large white candlestick followed by a doji that gaps up from the
previous candles real body. This is followed by a third candlestick that is black and has a
close lower than the half way point of the first candlesticks real body. Must be preceeded by an uptrend.
*/

// Evening Star
EveningStar = Ref(starUp,-1) AND blackbody AND big AND C < Ref((O + C)/2,-2);
/*
A large white candlestick followed by a small real body of either colour that gaps up from the
previous candles real body. This is followed by a third candlestick that is black and has a
close lower than the half way point of the first candlesticks real body. Must be preceeded by an uptrend.
*/
 
// Grave Stone Doji
GraveStoneDoji = longleggeddoji AND L == C AND Ref(uptrend,-1);
/*
A doji with no lower shadow and an extremenly long upper shadow. Must be preceeded by an uptrend.
*/
 
//Bear 3 Formation
Bear3Formation = bigblack AND C < Ref(C,-4) AND
Ref(H,-1) <= fwh AND Ref(L,-1) >= fwl AND
Ref(H,-2) <= fwh AND Ref(L,-2) >= fwl AND
Ref(H,-3) <= fwh AND Ref(L,-3) >= fwl AND
Ref(isfalling, -4);
/*A strong black candle in a falling window, followed by three
 candles that fall within the high/low range of the strong black candle, followed
 by another strong black candle that closes below the close of the first black candle. 
 This is a bearish confirmation.*/
 
//Bearish Abandoned Baby
BearishAbandonedBaby = EveningDojiStar AND Ref(GapUp(),-1) AND GapDown();
/*
An evening doji star where there is a gap between the lower shadow of the doji and
the upper shadows of the prior and next candle.
*/
 
//Bearish Belt Hold
BearishBeltHold = belthold AND blackbody AND Ref(uptrend,-1);
/*
A large black candle with a shaven head and bottom preceeded by an uptrend.
*/
 
//Bearish Counter Attack
BearishCounterAttack = Ref(big AND whitebody,-1) AND O > Ref(H,-1) AND C == Ref(C,-1) AND big AND blackbody AND Ref(uptrend,-1);
/*
A large white candle followed by a black candle which opens sharply higher but closes
at the prior black candles close. Must be preceeded by an uptrend.
*/
 
// Bearish Harami Cross
BearishHaramiCross = doji AND Ref(C,-1) > O AND Ref(O,-1) < O AND Ref(big AND whitebody,-1) AND Ref(uptrend,-1);
/* A doji preceded by and contained within the real body of a big white candlestick in an uptrend */
 
// Bearish Harami
BearishHarami = Ref(big AND whitebody,-1) AND smallRealBody AND Min(O,C) > Ref(O,-1) AND Max(O,C) < Ref(C,-1) AND Ref(uptrend,-1);
/* A small candlestick preceded by and whose real body is contained within, the real body of a big white candlestick in an uptrend*/
 
// Bearish Separating Line
BearishSeparatingLine = Ref(whitebody AND big,-1) AND blackbody AND big AND O == Ref(O,-1) AND Ref(downtrend,-1); 
/* A white candlestick followed by a black candlestick with the same opening price. Continues  the previous downtrend. */
 
// Dark Cloud Cover
DarkCloudCover = Ref(bigwhite,-1) AND blackbody AND O > Ref(H,-1) AND C <= Ref((O+C)/2,-1) AND C > Ref(O,-1) AND Ref(uptrend,-1);
/* A strong white candle in an uptrend followed by a black candle that opens above the high of the  white candle and closes at least 50 percent into the white candles real body. Note that if the black candle completely
engulfs the white candles real body then this is not Dark Cloud Cover but a Bearish Engulfing Pattern. */
 
 
// Engulfing Bear
EngulfingBear = Ref(whitebody,-1) AND blackbody AND engulfing AND Ref(uptrend,-1);
/* This bar is black and its real body engulfs the previous bars white real body. Must be preceeded by an uptrend.
*/
 
//Hamging Man
HangingMan = umbrellaline AND uptrend AND Ref(uptrend,-1);
/* The same as a hammer except must be preceeded by an uptrend. */
 
//Shooting Star
ShootingStar = smallRealBody AND shaven AND realBodyGapUp AND longuppershadow AND Ref(uptrend,-1);
/*
A small body that closes near the bottom of its range and 
has a long upper shadow. There must be a real body gap up from the previous sessions candle. This
pattern occurs only after an uptrend.
*/
 
//Three Black Crows
ThreeBlackCrows = (big AND blackbody) AND Ref(big AND blackbody, -1) AND Ref(big AND blackbody, -2) AND O < Ref(O,-1) AND Ref(O,-1) < Ref(O,-2) AND Ref(uptrend,-4);
/*
The last three candlesticks are large and black. Each opens within or lower than the 
 previous candles real body.Must be preceeded by an uptrend.
*/
 
// Tri-Star Bottom
TriStarBottom = firstDoji AND secDojiLower AND doji AND realBodyGapUp AND isPrevDownTrendx;
/*
A doji followed by a lower doji which is followed by another doji that is higher than the
second doji. Must be preceeded by a downtrend.
*/
 
//Tweezer Tops
TweezerTops = H == Ref(H,-1) AND Ref(big AND whitebody,-1) AND Ref(uptrend,-2);
/* A large candle followed by a candle with the same high. Must be preceeded by an uptrend. */
 
// Upside Gap Two Crows
UpsideGapTwoCrows = Ref(big AND whitebody,-2) AND Ref(realBodyGapUp,-1) AND Ref(smallRealBody,-1) AND Ref(blackbody,-1) AND engulfing AND blackbody AND C > Ref((O+C)/2,-2) AND Ref(uptrend,-2);
/* A strong white candle followed by a small black candle which gaps above the previous 
candles real body, followed by a black candle which engulfs the previous black candle. Preceeded by an uptrend. */
 
//----------------------------------------
// Bullish
//----------------------------------------
 
// Kicker
KBL = Ref(O,-1) > Ref(C,-1) AND O >= Ref(O,-1) AND C > O; 
 
// Morning Star
MorningStar = Ref(starDown,-1) AND whitebody AND big AND C > Ref((O + C)/2,-2);
/*
A large black candlestick followed by a small real body of either colour,
 that gaps below the previous black candles real body, with a third white candlestick, that has a close 
 higher than the half way point of the first black candlestick. Must be preceeded by a downtrend.
*/
 
// Morning Doji Star
MorningDojiStar = Ref(dojiStarDown,-1) AND whitebody AND big AND C > Ref((O + C)/2,-2);
/*
A large black candlestick followed by a doji that gaps below its real body, with a third
 white candlestick, that has a close at least half of the way up the black candlestick. Must be preceeded by a
 downtrend.
*/
 
// Bull 3 Formation
Bull3Formation = bigwhite AND C > Ref(C,-4) AND
Ref(H,-1) <= rwh AND Ref(L,-1) >= rwl AND
Ref(H,-2) <= rwh AND Ref(L,-2) >= rwl AND
Ref(H,-3) <= rwh AND Ref(L,-3) >= rwl AND
Ref(isrising, -4);
/*
A strong white candle in a rising window, followed by three 
 candles that fall within the high/low range of the strong white candle, followed
 by another strong white candle that closes above the close of the first white candle. 
 This is confirmation of the Bullish trend."
*/
 
// Bullish Abandoned Baby
BullishAbandonedBaby = morningdojistar AND Ref(GapDown(),-1) AND GapUp();
/*
A morning doji star where there is a gap between the lower shadow of the doji and
the prior and next candle.
*/
// Bullish Belt Hold
BullishBeltHold = belthold AND whitebody AND Ref(downtrend,-1);
/*
A large white candle with no upper or lower shadow preceeded by a downtrend.
*/
 
// Bullish Counter Attack
BullishCounterAttack = Ref(big AND blackbody,-1) AND O < Ref(H,-1) AND C == Ref(C,-1) AND big AND whitebody AND Ref(downtrend,-1);
/*
A large black candle followed by a white candle which opens sharply lower but closes at the 
prior white candles close. Must be preceeded by a downtrend
*/
 
// Bullish Harami Cross
BullishHaramiCross = doji AND Ref(O,-1) > O AND Ref(C,-1) < O AND Ref(big AND blackbody,-1) AND Ref(downtrend,-1);
/*
A doji preceded by and contained within the real body of a big 
black candlestick in a downtrend.
*/
 
// Bullish Harami
BullishHarami = Ref(big AND blackbody,-1) AND smallRealBody AND Min(O,C) > Ref(C,-1) AND Max(O,C) < Ref(O,-1) AND Ref(downtrend,-1);
/*
A small candlestick, preceded by, and whose body is contained within a big black 
candlestick in a downtrend
*/
 
// Bullish Separating Line
BullishSeparatingLine = Ref(blackbody AND big,-1) AND whitebody AND big AND O == Ref(O,-1) AND Ref(uptrend,-1);
/*
A black candlestick followed by a white candlestick with the same opening price. Continues
 the previous uptrend.
*/
 
//Dragonfly Doji
DragonflyDoji = longleggeddoji AND H==C AND Ref(downtrend,-1);
/*A doji with no upper shadow AND a long lower shadow preceeded by a downtrend.*/
 
// Engulfing Bull
EngulfingBull = Ref(blackbody,-1) AND whitebody AND engulfing AND Ref(downtrend,-1);
/*
This bar is white and its real body engulfs the previous bars black real body. Must be
preceeded by a downtrend.
*/
 
// Hammer
Hammer = umbrellaline AND Ref(downtrend,-1);
/*
The upper shadow is less than ten percent of the range
 and the lower shadow is more than two times the size of the body. Must be preceeded by a downtrend.
*/
 
//Inverted Hammer
InvertedHammer = smallRealBody AND shaven AND realBodyGapDown AND longuppershadow AND Ref(downtrend,-1);
/*
An upside down Hammer that appears after a downtrend
*/
 
//Piercing Line
PiercingLine = Ref(bigblack,-1) AND whitebody AND O < Ref(L,-1) AND C >= Ref((O+C)/2,-1) AND C < Ref(O,-1) AND Ref(downtrend,-1);
/*
A stong black candle followed by a white candle that opens below the low of
the prior black candle but closes more than halfway into the black candles real body. Preceeded by a downtrend. Note that if the
white candle engulfs the prior black candles real body then this is a Bullish Engulfing Pattern not a Piercing Pattern
*/
 
// SeperatingLines
SeperatingLines = O == Ref(O,-1) AND (blackbody AND Ref(whitebody,-1) OR whitebody AND Ref(blackbody,-1));
/*
a black candlestick is followed by a white candlestick, or a white with a black,and they have the same opening prices.
*/
 
//Three White Soldiers
ThreeWhiteSoldiers = (whitebody AND big) AND Ref(whitebody AND big,-1) AND Ref(whitebody AND big,-2) AND O > Ref(O,-1) AND Ref(O,-1) > Ref(O,-2);
/*
The last three candlesticks are large and white. Each opens within or higher than the 
 previous candles real body.
*/
 
// Tri-Star Top
TriStarTop = firstDoji AND secDojiHigher AND doji AND realBodyGapDown AND isPrevUpTrendx;
/*
A doji followed by a higher doji which is followed by another doji that is lower than the
second doji. Must be preceeded by an uptrend.
*/
 
// Tweezer Bottoms
TweezerBottoms = L == Ref(L,-1) AND Ref(big AND blackbody,-1) AND Ref(downtrend,-2);
/* A large candle followed by a candle with the same Low. Must be preceeded by a downtrend. */
 
 
//----------------------------------------
// Continuation
//----------------------------------------
 
// Downward Gapping Tasuki
DownwardGappingTasuki = isFallingBlack AND whitebody AND opensInside AND C > Ref(O,-1) AND windowOpen AND similarSize;
/* A black candle that gaps down followed by a similarly sized white candle that opens Inside the black candles real body AND closes above it. */
 
//Upward Gapping Tasuki
UpwardGappingTasuki = isRisingWhite AND blackbody AND opensInside AND C < Ref(O,-1) AND  windowOpenx AND similarSize;
/* A white candle that gaps up followed by a similarly sized black candle that opens Inside the white candles real body AND closes below it; */
 
//Inverted Black Hammer
InvertedBlackHammer = blackbody AND InvertedHammer;
 
 
STS = /*Bears*/
WriteIf(KBR, "Bearish Kicker", 
WriteIf(EveningDojiStar, "Evening Doji Star", 
WriteIf(EveningStar, "Evening Star",
WriteIf(GraveStoneDoji, "Grave Stone Doji",
WriteIf(Bear3Formation, "Bear 3 Formation",
WriteIf(BearishAbandonedBaby, "Bearish Abandoned Baby",
WriteIf(BearishBeltHold, "Bearish Belt Hold",
WriteIf(BearishCounterAttack, "Bearish Counter Attack",
WriteIf(BearishHaramiCross, "Bearish Harami Cross",
WriteIf(BearishHarami, "Bearish Harami",
WriteIf(BearishSeparatingLine, "BearishSeparatingLine",
WriteIf(DarkCloudCover, "DarkCloudCover",
WriteIf(EngulfingBear, "Engulfing Bear",
WriteIf(HangingMan, "Hanging Man",
WriteIf(ShootingStar, "Shooting Star",
WriteIf(ThreeBlackCrows, "Three Black Crows",
WriteIf(TriStarBottom, "TriStar Bottom",
WriteIf(TweezerTops, "Tweezer Tops",
WriteIf(UpsideGapTwoCrows, "UpsideGapTwoCrows", 
/*Bulls*/
WriteIf(KBL, "Bullish Kicker",
WriteIf(MorningStar, "Morning Star",
WriteIf(MorningDojiStar, "Morning Doji Star",
WriteIf(Bull3Formation, "Bull 3 Formation",
WriteIf(BullishAbandonedBaby, "Bullish Abandoned Baby",
WriteIf(BullishBeltHold, "Bullish Belt Hold",
WriteIf(BullishCounterAttack, "Bullish Counter Attack",
WriteIf(BullishHaramiCross, "Bullish Harami Cross",
WriteIf(BullishHarami, "Bullish Harami",
WriteIf(BullishSeparatingLine, "Bullish Separating Line",
WriteIf(DragonflyDoji, "Dragonfly Doji",
WriteIf(EngulfingBull, "Engulfing Bull",
WriteIf(Hammer, "Hammer",
WriteIf(InvertedHammer, "Inverted Hammer",
WriteIf(PiercingLine, "Piercing Line",
WriteIf(SeperatingLines, "Seperating Lines",
WriteIf(ThreeWhiteSoldiers, "Three White Soldiers",
WriteIf(TriStarTop, "Tri-Star Top",
WriteIf(TweezerBottoms, "Tweezer Bottoms",""))))))))))))))))))))))))))))))))))))));
 
     
candlesell =   IIf(KBR OR EveningDojiStar OR EveningStar OR GraveStoneDoji OR Bear3Formation OR BearishAbandonedBaby
        OR BearishBeltHold OR BearishCounterAttack OR BearishHaramiCross OR BearishHarami OR BearishSeparatingLine
        OR DarkCloudCover OR EngulfingBear OR HangingMan OR ShootingStar OR ThreeBlackCrows OR TriStarBottom 
        OR TweezerTops OR UpsideGapTwoCrows,1,0);//weight 2
candlebuy=IIf( MorningStar OR MorningDojiStar OR Bull3Formation
        OR BullishAbandonedBaby OR BullishBeltHold OR BullishCounterAttack OR BullishHaramiCross
        OR BullishHarami OR BullishSeparatingLine OR DragonflyDoji OR EngulfingBull OR Hammer OR InvertedHammer
        OR PiercingLine OR SeperatingLines OR ThreeWhiteSoldiers OR TriStarTop OR TweezerBottoms OR KBL, 1, 0);
        
candleAbuy=ICHIMOKUbuy+candlebuy; //Max value 6 and min 0
candleAsell=ICHIMOKUsell+candlesell;
"Candle Buy"+candleAbuy+"candle Sell"+candleAsell;


filterb=B1+B2+B3+LRPup+candleAbuy;
filters=S1+S2+S3+LRPdown+candleAsell;
"FilterB"+filterb+"FilterS"+filters;
FB=upline AND filterb>filters+2;//filters;
FSS=downline AND filters>filterb+2;//filterb;
"BUY**"+FB+"Sell**"+FSS;

AddColumn(filterb,"filter B",1);
AddColumn(filters,"filter S",1);
//Buysig=(InWatchList(12) AND Ref(C,-1)>Ref(O,-1) AND FB) OR (InWatchList(18) AND O>EMA(C,4)) OR  (InWatchList(64) AND ROC(C,120)<-2 AND ROC(C,20)<ROC(C,60) AND ROC(C,4)<0) ;//AND O>valB AND O<valT;// second data 
//Sellsig=(inwatchlist(9) AND  Ref(C,-1)<Ref(O,-1) AND FSS)  OR (InWatchList(19) AND C<EMA(O,4));// AND O>valT ;

Buysig=(InWatchList(12)  AND FB) OR (InWatchList(18) AND O>EMA(C,12)) OR  (InWatchList(64) AND ROC(C,120)<-2 AND ROC(C,20)<ROC(C,60) AND ROC(C,4)<0) ;//AND O>valB AND O<valT;// second data 
Sellsig=(inwatchlist(9) AND FSS)  OR (InWatchList(19) AND C<EMA(O,12));// AND O>valT ;


//******
Buy=Buysig ;
Short=Sellsig ;
Sell=0;
Cover=0;
LastBuy = LastValue(Buy);
LastShort = LastValue(Short);
LastShortPrice=LastValue(ShortPrice);
LastBuyPrice=LastValue(BuyPrice);
PrevDT = StaticVarGet("DateTime"+ABName);
DT = LastValue(DateTime());
NewBar = DT != PrevDT;                        
StaticVarSet("DateTime"+ABName,DT);
if( NewBar ) StaticVarSetText("OrderID"+ABName,"");
LastBuy = LastValue(Buy);
LastShort = LastValue(Short);
IBPosSize=0;
ibc = GetTradingInterface("IB");
IBcStatus = ibc.IsConnected();
IBPosSize = ibc.GetPositionSize( IBName );
IBcStatusString = WriteIf(IBCStatus==0,"TWS Not Found",WriteIf(IBCStatus==1,"Connecting to TWS",WriteIf(IBCStatus==2,"TWS OK",WriteIf(IBCStatus==3,"TWS OK (msgs)",""))));
printf("Net Liquidity or balance:");
liqCAD=ibc.GetAccountValue("[CAD]NetLiquidation");
printf("Net Liquidation USD :");
CashBalanceStr = ibc.GetAccountValue("[USD]NetLiquidationByCurrency");
printf("Net Liquidation CAD:");
CashBalanceCAD = ibc.GetAccountValue("[CAD]NetLiquidationByCurrency");
printf("Available Funds USD:"); 
USDaf=ibc.GetAccountValue("[USD]AvailableFunds");
printf("Available Fund CAD:"); 
CADaf=ibc.GetAccountValue("[CAD]AvailableFunds");
printf("Total Cash Balance USD:"); 
USDtcb=ibc.GetAccountValue("[USD]TotalCashBalance");
printf("Total Cash Balance CAD:"); 
CADtcb=ibc.GetAccountValue("[CAD]TotalCashBalance");
printf("AvailableFunds CAD:");
availablefundstr=ibc.GetAccountValue("[CAD]AvailableFunds");
printf("Excess Liquidity CAD:");
excessfundstr=ibc.GetAccountValue("[CAD]ExcessLiquidity");
printf("MaintenanceMarginReqCAD:");
marginfundUSD=ibc.GetAccountValue("[CAD]MaintMarginReq");
printf("Equity With Loan Value CAD:");
loanfundUSD=ibc.GetAccountValue("[CAD]EquityWithLoanValue");
printf("Buying Power CAD or  excessfund:");
excessfundCAD=ibc.GetAccountValue("[CAD]BuyingPower");

if (liqCAD == "")
    Balance = 0;
else
    Balance = StrToNum(liqCAD);
    
if (excessfundCAD =="")
    excessfund = 0;
else
   excessfund = StrToNum(excessfundCAD);  
   
 AccountCutout =excessfund<10000; 

function stockprice()
{base=1;
	for(i=0;i<=LastValue(C);i++){
	base++;
	}
	roundoff=int(base/5)*5;
return lastvalue(roundoff);
}

base=stockprice();
printf("\n"+"Roundoff Price"+base);
IBOrderSize =(int((Balance*0.01 + excessfund*0.01)/base)/100)*100;//(int((Balance*0.02 + excessfund*0.03)/base)/100)*100;
printf("\n"+"unfiltered Order size"+IBOrderSize);
ordersize=IIf(IBOrderSize<(Balance*0.085/base) AND IBOrderSize>(Balance*0.02/base) AND AccountCutout==0 ,IBOrderSize,0);
printf("\n"+"Maximum Order size"+Balance*0.085/base);
printf("\n"+"Minimum Order size"+Balance*0.02/base);
printf("\n"+"Actual:"+ordersize+"\n");
//openpos = ibc.GetPositionList(); 
pendinglist=ibc.GetPendingList( 0, "Pending" );  
averageprice=0;
   
OldOrderID = StaticVarGetText("OrderID"+ABName);
if (OldORderID == "" && (LastBuy || LastShort))
{
    StaticVarSetText("OrderID"+ABName,"DUMMY");
}

tqqq=Foreign("TQQQ","Close");//2%
sqqq=Foreign("SQQQ","Close");//0.5%

retTQQQ120=ROC(tqqq,120);
retTQQQ60=ROC(tqqq,60);
retTQQQ20=ROC(tqqq,20);

retSQQQ120=ROC(sqqq,120);
retSQQQ60=ROC(sqqq,60);
retSQQQ20=ROC(sqqq,20);
if( IBcStatus )
{
    OrderID = StaticVarGetText("OrderID"+ABName);
    BuyPending=ibc.IsOrderPending(OrderID);
    SellPending=ibc.IsOrderPending(OrderID);
    averageprice=ibc.GetPositionInfo(Name(), "Avg. cost");
    //IBPosSize = ibc.GetPositionSize( IBName );
   // printf("average price:"+"\n"+averageprice);
	//printf("position list:"+"\n"+IBPosSize);
	stoplossS=C-Max(ATR(5)*15,MA(C,200)*0.004);
	stoplossC=C+Max(ATR(5)*15,MA(C,200)*0.004);
  	minSProfit= (LastValue(GetRTData("Bid"))-ibc.GetPositionInfo(Name(), "Avg. cost"))*abs(IBPosSize)>5;	
  	minCProfit= (LastValue(ibc.GetPositionInfo(Name(), "Avg. cost"))-GetRTData("Ask"))*abs(IBPosSize)>5;
  	minSloss=(LastValue(stoplossS)-ibc.GetPositionInfo(Name(), "Avg. cost")*0.99)*abs(IBPosSize)>5;	
  	minCloss=(LastValue(stoplossC)-ibc.GetPositionInfo(Name(), "Avg. cost")*1.01)*abs(IBPosSize)>5;
	B1= LastBuy AND ibc.GetPositionSize(Name())==0 AND LastValue(MarketON);
    SS1= LastShort  AND ibc.GetPositionSize(Name())==0 AND LastValue(MarketON);//short sell
    /*BWTQQQ1=LastValue(retTQQQ120)<-2 AND LastValue(retTQQQ20)>LastValue(retTQQQ60)*0.95 AND LastValue(ibc.GetPositionSize("TQQQ"))==0;
    BWTQQQ2=LastValue(retTQQQ120)<-3 AND LastValue(retTQQQ20)>LastValue(retTQQQ60)*0.95 AND  LastValue(ibc.GetPositionSize("TQQQ"))>1;
    BWSQQQ1=LastValue(retSQQQ120)<-2 AND LastValue(retSQQQ20)>LastValue(retSQQQ60)*0.95 AND  LastValue(ibc.GetPositionSize("SQQQ"))==0;
    BWSQQQ2=LastValue(retSQQQ120)<-3 AND LastValue(retSQQQ20)>LastValue(retSQQQ60)*0.95 AND  LastValue(ibc.GetPositionSize("SQQQ"))>1;*/
	

    S1= InWatchList(33) AND LastValue(minSProfit) AND ibc.GetPositionSize(Name())>0;
    S2= InWatchList(32) AND LastValue(minSProfit) AND ibc.GetPositionSize(Name())>0;
	S3= InWatchList(31) AND LastValue(minSProfit) AND ibc.GetPositionSize(Name())>0;
	S4=InWatchList(30)  AND  LastValue(minSProfit) AND ibc.GetPositionSize(Name())>0;
	S5= (InWatchList(64 ) OR InWatchList(18)) AND  LastValue(C)>averageprice*1.2 AND LastValue(minSProfit) AND ibc.GetPositionSize(Name())>0;
	S6= InWatchList(17) AND minSloss AND ibc.GetPositionSize(Name())>0;
	//S5=LastValue(MarketLM)  AND LastValue(C)>(averageprice*0.998) AND ibc.GetPositionSize(Name())>0;
	//S6=LastValue(C)<(averageprice*0.965) AND ibc.GetPositionSize(Name())>0;
	C1= InWatchList(33)  AND LastValue(minCProfit) AND ibc.GetPositionSize(Name())<0;
	C2= InWatchList(32)  AND LastValue(minCProfit) AND ibc.GetPositionSize(Name())<0;
	C3= InWatchList(31)  AND LastValue(minCProfit) AND ibc.GetPositionSize(Name())<0;
	C4= InWatchList(30)  AND LastValue(minCProfit) AND ibc.GetPositionSize(Name())<0;
	C5=(InWatchList(64) OR InWatchList(19)) AND LastValue(C)<averageprice*0.8 AND LastValue(minCProfit) AND ibc.GetPositionSize(Name())<0;
	C6=InWatchList(17) AND minCloss AND ibc.GetPositionSize(Name())<0;
	//C5=LastValue(MarketLM)  AND LastValue(C)<(averageprice*1.002) AND ibc.GetPositionSize(Name())<0;
	//C6=LastValue(C)>(averageprice*1.035) AND ibc.GetPositionSize(Name())<0;
    size=IIf( (LastBuy OR  LastShort),ordersize,abs(IBPosSize));
    
	if(B1 AND AccountCutout==0)  //BUY
    {
        OID= ibc.PlaceOrder( Name(), "BUY",Size, "MKT",0, 0, "Day", True); 
        ORderStatus = ibc.GetStatus( OID, True);
        if(ORderStatus == "Filled"){
        StaticVarSetText("OrderID"+ABName,OID);
        }
        for (dummy=0; dummy<40; dummy++) ibc.Sleep(50);  //Usually takes up to about a second for TWS to get acknowledgement from IB
        if (SubmitOrders)
        {
            for (dummy=0; dummy<40; dummy++) ibc.Sleep(50);  //Usually takes up to about a second for TWS to get acknowledgement from IB

             tradetime=GetPerformanceCounter()/1000; 
             while ((GetPerformanceCounter()/1000 - tradetime) <5) // give up after 5 seconds
             {
                 ibc.Reconnect();  //Refreshes ibc, and gets accurate status
                 //ORderStatus = ibc.GetStatus( OID, True);
                 if (ORderStatus == "PreSubmitted" || ORderStatus == "Submitted" || ORderStatus == "Filled")
                     break;
             }
        }
                     
    }
      
    if((C1 OR C2 OR C3 OR C4 OR C5 OR C6) )  //Cover C5 and C6
    {
        OID= ibc.PlaceOrder( Name(), "BUY",Size, "MKT",0, 0, "Day", True); 
         ORderStatus = ibc.GetStatus( OID, True);
        if(ORderStatus == "Filled"){
        StaticVarSetText("OrderID"+ABName,OID);
        }
        for (dummy=0; dummy<40; dummy++) ibc.Sleep(50);  //Usually takes up to about a second for TWS to get acknowledgement from IB
        if (SubmitOrders)
        {
            for (dummy=0; dummy<40; dummy++) ibc.Sleep(50);  //Usually takes up to about a second for TWS to get acknowledgement from IB

             tradetime=GetPerformanceCounter()/1000; 
             while ((GetPerformanceCounter()/1000 - tradetime) <5) // give up after 5 seconds
             {
                 ibc.Reconnect();  //Refreshes ibc, and gets accurate status
                 //ORderStatus = ibc.GetStatus( OID, True);
                 if (ORderStatus == "PreSubmitted" || ORderStatus == "Submitted" || ORderStatus == "Filled")
                     break;
             }
        }
                     
    }
    	
	
    if(SS1 AND AccountCutout==0 )  //SHORT SELL
    {
        OID= ibc.PlaceOrder( Name(), "SELL",Size, "MKT",0, 0, "Day", True); 
         ORderStatus = ibc.GetStatus( OID, True);
        if(ORderStatus == "Filled"){
        StaticVarSetText("OrderID"+ABName,OID);
        }
        
        //for (dummy=0; dummy<40; dummy++) ibc.Sleep(50);  //Usually takes up to about a second for TWS to get acknowledgement from IB
        if (SubmitOrders)
        {
            for (dummy=0; dummy<40; dummy++) ibc.Sleep(50);  //Usually takes up to about a second for TWS to get acknowledgement from IB

             tradetime=GetPerformanceCounter()/1000; 
             while ((GetPerformanceCounter()/1000 - tradetime) <5) // give up after 5 seconds
             {
                 ibc.Reconnect();  //Refreshes ibc, and gets accurate status
                 //ORderStatus = ibc.GetStatus( OID, True);
                 if (ORderStatus == "PreSubmitted" || ORderStatus == "Submitted" || ORderStatus == "Filled")
                     break;
             }
        }
                     
    }
    
        if((S1 OR S2 OR S3 OR S4 OR S5 OR S6 ) )  //sell // or S6 or S5
    {
        OID= ibc.PlaceOrder( Name(), "SELL",Size, "MKT",0, 0, "Day", True); 
        ORderStatus = ibc.GetStatus( OID, True);
        if(ORderStatus == "Filled"){
        StaticVarSetText("OrderID"+ABName,OID);
        }
       
        //for (dummy=0; dummy<40; dummy++) ibc.Sleep(50);  //Usually takes up to about a second for TWS to get acknowledgement from IB
        if (SubmitOrders)
        {
            for (dummy=0; dummy<40; dummy++) ibc.Sleep(50);  //Usually takes up to about a second for TWS to get acknowledgement from IB

             tradetime=GetPerformanceCounter()/1000; 
             while ((GetPerformanceCounter()/1000 - tradetime) <5) // give up after 5 seconds
             {
                 ibc.Reconnect();  //Refreshes ibc, and gets accurate status
                 //ORderStatus = ibc.GetStatus( OID, True);
                 if (ORderStatus == "PreSubmitted" || ORderStatus == "Submitted" || ORderStatus == "Filled")
                     break;
             }
        }
                     
    }
    
    ibc.ClearList(4);//error list clearing
	/*j=0;
	for( i = 0; ( symbol = StrExtract( pendinglist, i ) ) != ""; i++ ) //pending cancellation
		{ 
			if(symbol==Name())//getfndata("Alias")
			{
			j++;
			} 
		}
	if(j>1){
		for( i = 1;i<j; i++ ){
		ibc.CancelAllPendingOrders(name());
			}
		}*/
  
  // Note LastOrderID will remain "" while waiting for price improvement so we may skip entering for the whole of the bar
    LastOrderID = StaticVarGetText("OrderID"+ABName);
    ORderStatus = ibc.GetStatus( LastOrderID , True );
    if( ORderStatus != "" ) StaticVarSetText("OrderStatus"+ABName,ORderStatus);
}
else IBPosSize = 0;

LastOrderID = StaticVarGetText("OrderID"+ABName);
ORderStatus = StaticVarGetText("OrderStatus"+ABName);
/*Title = Filename+":"+ABName+"\n"+" Trading Mode:"+WriteIf( SubmitOrders," -Create and Transmit"," - Create Only")+"\n"+" Last Signal: "+WriteIf(LastBuy,"BUY",WriteIf
(LastShort,"SHORT","NoSignal"))+"\n"+" IB Status: "+IBcStatusString+"\n"+" Last OrderID:"+LastOrderID+","+"\n"+" OrderStatus:"+ORderStatus+WriteIf(ORderStatus=="Error",ibc.GetLastError( LastOrderID
),"")+"," + "LastTime:  "+DateTimeToStr(LastValue(DateTime()))+"\n";*/



Filter=(Buy OR Short) AND (InWatchList(12) OR  InWatchList(9) OR  InWatchList(17)) AND LastOrderID!="DUMMY" ;

AddTextColumn(FullName(),"name",200);
AddColumn(Buy,"Buy",1.0);
AddColumn(Balance,"Cash",1.2);
AddColumn(excessfund,"excessfund",1.2);
AddColumn(IIf(SubmitOrders,Asc("Y"),Asc("N")),"Transmit",formatChar);
AddColumn(IIf(Buy,Asc("L"),IIf(Short,Asc("S"),Asc(" "))),"Buy/Sell",formatChar);
AddColumn(IBOrderSize,"Qty",1.0);
AddColumn(IIf(Buy,BuyPrice,ShortPrice),"Entry",1.5);
AddTextColumn(IBcStatusString,"IBC Status",1.0);
AddTextColumn(LastOrderID,"LastOID",1.0);
AddTextColumn(ORderStatus,"OrderStatus",1.0);


AFL CODE FOR SELECTION (V7)
*****************
******************************



_SECTION_BEGIN("FILTER");
Filename 	= _DEFAULT_NAME();
Plot(C , "algotrade ", colorBlue, styleLine);
SetBarsRequired( 200, 0 );
bi = Inrange=BarIndex();
//arrayitem = SelectedValue( bi ) - bi[ 0 ]; 
//"Close at selected bar:" + Close[ arrayitem ];

BC12=BarCount-12;
//lastNbars(  http://www.amibroker.com/kb/2014/12/31/drawing-indicators-on-a-subset-of-visible-bars/
roc12=ROC(C,12);
"ROC last 12 bars:" + roc12;
//bi120=bi[120]-bi[0]

newPeriod = ND= Day() != Ref( Day(), -1 );
Time       = Now( 4 );
Seconds    = int( Time % 100 );
Minutes    = int( Time / 100 % 100 );
Hours    = int( Time / 10000 % 100 );
//beta and correlation 
IndexNDX="$NDX";
IndexOEX="$OEX";
indexSPX="$SPX";
IndexRUT="$RUT";
P_NDX=Foreign(IndexNDX,"C",1);
//PH=Foreign(IndexNDX,"H",1);
//PL=Foreign(IndexNDX,"L",1);
P_OEX=Foreign(IndexOEX,"C",1);
P_SPX=Foreign(IndexSPX,"C",1);
PH_SPX=Foreign(IndexOEX,"H",1);
PL_SPX=Foreign(IndexOEX,"L",1);
P_RUT=Foreign(IndexRUT,"C",1);

tqqq=Foreign("TQQQ","Close");//2%
sqqq=Foreign("SQQQ","Close");//0.5%
vix=Foreign("VIX","Close");

retTQQQ120=ROC(tqqq,120);
retTQQQ60=ROC(tqqq,60);
retTQQQ20=ROC(tqqq,20);

retSQQQ120=ROC(sqqq,120);
retSQQQ60=ROC(sqqq,60);
retSQQQ20=ROC(sqqq,20);

retRUT120=ROC(P_RUT,120);
retRUT60=ROC(P_RUT,60);
retRUT20=ROC(P_RUT,20);

retVIX120=ROC(vix,120);  
retVIX60=ROC(vix,60);
retVIX20=ROC(vix,20);

retNDX120=ROC(P_NDX,120);
retNDX60=ROC(P_NDX,60);
retNDX20=ROC(P_NDX,20);

retOEX120=ROC(P_OEX,120);
retOEX60=ROC(P_OEX,60);
retOEX20=ROC(P_OEX,20);

retSPX120=ROC(P_SPX,120);
retSPX60=ROC(P_SPX,60);
retSPX20=ROC(P_SPX,20);


Beta=((20* Sum(ROC( C,60) * ROC(P_SPX,60),20)) - (Sum(ROC(C,60),20) * Sum(ROC( P_SPX,60),20))) / ((20* Sum((ROC(P_SPX,60)^2 ),20)) - (Sum(ROC(P_SPX,60),20)^2 ));

cons=(MA(Beta,50)>0.6 AND Correlation(P_SPX,C,50)>0.6); 

downline=retNDX60<0 AND  retSQQQ20>0 AND retSQQQ20>retTQQQ20 AND Trough( P_SPX,0.2, 1 )<Trough( PL_SPX,0.2, 2) AND MA(P_SPX,20)>LastValue(Trough( P_SPX, 2, 1 )) AND Peak( P_SPX,0.2, 1 )<Peak( P_SPX,0.2, 2 );//*
upline=retNDX60>0 AND retTQQQ20>0 AND retSQQQ20<retTQQQ20 AND MA(P_SPX,20)>LastValue(Peak( P_SPX,0.2, 1 )*0.99) and MA(P_SPX,20)<LastValue(Peak( P_SPX,0.2, 1 )*1.05) AND Peak( P_SPX,0.2, 1 )> Peak( P_SPX,0.2, 2 ) AND Trough( P_SPX, 0.2, 1 )>Trough( P_SPX, 0.2, 2);
//AND retVIX20>0  AND retOEX20<0.2 AND retSPX20<0.2 AND retRUT20<0.2 AND
//AND retVIX120<0  retOEX20>0.3 AND retSPX20>0.2 AND retRUT20>0.2 AND  
"Index :" + P_SPX;
"Trough 1 :" + Trough( P_SPX,0.2, 1);
"Trough 2 :" + Trough( P_SPX,0.2, 2);
"Peak 1:" + LastValue(Peak( P_SPX, 0.2, 1 ));
"Peak 2:" + LastValue(Peak( P_SPX, 0.2, 2 ));
"Peak 1 0.99 :" + LastValue(Peak( P_SPX, 0.2, 1 )*0.99);
"Peak 1 1.05 :" + LastValue(Peak( P_SPX, 0.2, 1 )*1.05);


AddColumn(downline,"downline",1);
AddColumn(upline,"upline",1);

filterb=upline AND cons AND roc12>0.01 AND InWatchList(4);
filters=downline AND cons AND roc12<-0.01 AND InWatchList(6);

AddColumn(filterb,"filter B",1);
AddColumn(filters,"filter S",1);
listnumS = 9;// we use this watchlist for selecting to sels short US stocks

// erase the watchlist when we process very first symbol
if ( Status( "stocknum" ) == 0 ) 
{
    // retrieve watchlist members
    oldlist = CategoryGetSymbols( categoryWatchlist, listnumS);

    // iterate through the list and remove tickers
    for ( i = 0; ( sym = StrExtract( oldlist, i ) ) != ""; i++ )
    {
        CategoryRemoveSymbol( sym, categoryWatchlist, listnumS);
    }
}
if ( LastValue( Cum( filters AND  Status( "barinrange" ) ) )  )
    CategoryAddSymbol( "", categoryWatchlist, listnumS);

listnumB = 12; // we use this watchlist for selecting US stocks to  buy

// erase the watchlist when we process very first symbol
if ( Status( "stocknum" ) == 0 )
{
     // retrieve watchlist members
    oldlist = CategoryGetSymbols( categoryWatchlist, listnumB);

    // iterate through the list and remove tickers
    for ( i = 0; ( sym = StrExtract( oldlist, i ) ) != ""; i++ )
    {
        CategoryRemoveSymbol( sym, categoryWatchlist, listnumB);
    }
}
if ( LastValue( Cum( filterb AND Status( "barinrange" ) ) )  )
    CategoryAddSymbol( "", categoryWatchlist, listnumB );
 
_SECTION_BEGIN("HOLDING");

Filename 	= _DEFAULT_NAME();
Plot(C , "algotrade ", colorBlue, styleLine);



//////HOLDING distribution
ibc = GetTradingInterface("IB");
IBcStatus = ibc.IsConnected();
IBPosSize=0;
oldlist = 13; //holding stocks manual load !! after market
OPTlesslist=14 ;//option less holding
OPTlist=15;//list of option hedged stocks and index options
newlist=16;//intraday list, each day this list to copy to 13 of next day using text file manually
intradaylist=17;
weightlistBUY=18;
weightlistSELL=19;
specialETF=64;


if ( Status( "stocknum" ) == 0 )
{
    // retrieve watchlist members
    list = CategoryGetSymbols( categoryWatchlist, newlist);
    // iterate through the list and remove tickers
    for ( i = 0; ( sym = StrExtract( list, i ) ) != ""; i++ )
    {
        CategoryRemoveSymbol( sym, categoryWatchlist, newlist);
        CategoryRemoveSymbol( sym, categoryWatchlist, intradaylist);
        CategoryRemoveSymbol( sym, categoryWatchlist,OPTlist);
    }
}
 symbol="";
 i=0;
	// erase the watchlist when we process very first symbol
	for( i = 0; ( symbol = StrExtract(ibc.GetPositionList(), i,',' ) ) != ""; i++ ) 
		{ 
		CategoryAddSymbol( symbol, categoryWatchlist, newlist);
		CategoryAddSymbol( symbol, categoryWatchlist, intradaylist);
			
			printf(symbol + ","); 
		}



	for( j = 0; ( symbol0 = StrExtract(CategoryGetSymbols( categoryWatchlist,newlist,0 ), j,',' ) ) != ""; j++ ) 
	{ 
		len=StrLen(symbol0);
		thissymbol=StrMid(symbol0,0,3);
		
		if(len>5)
		{
		CategoryRemoveSymbol( symbol0, categoryWatchlist,intradaylist);
		CategoryAddSymbol(thissymbol, categoryWatchlist, OPTlist);
		}
	}	
	
	for( j = 0; ( symbol0 = StrExtract(CategoryGetSymbols( categoryWatchlist,OPTlist,0 ), j,',' ) ) != ""; j++ ) 
	{ 
	
		CategoryRemoveSymbol( symbol0, categoryWatchlist,intradaylist);
	}	
	for( j = 0; ( symbol0 = StrExtract(CategoryGetSymbols( categoryWatchlist,weightlistBUY,0 ), j,',' ) ) != ""; j++ ) 
	{ 
	
		CategoryRemoveSymbol( symbol0, categoryWatchlist,intradaylist);
	}	
	for( j = 0; ( symbol0 = StrExtract(CategoryGetSymbols( categoryWatchlist,weightlistSELL,0 ), j,',' ) ) != ""; j++ ) 
	{ 
	
		CategoryRemoveSymbol( symbol0, categoryWatchlist,intradaylist);
	}
	for( j = 0; ( symbol0 = StrExtract(CategoryGetSymbols( categoryWatchlist,specialETF,0 ), j,',' ) ) != ""; j++ ) 
	{ 
	
		CategoryRemoveSymbol( symbol0, categoryWatchlist,intradaylist);
	}
p=0;
for( ; ( symbol = StrExtract(CategoryGetSymbols( categoryWatchlist,intradaylist,0 ), p,',' )) != ""; ) 
		{ 
			p++;
		}	

printf("Total Number of tradable in portfolio"+p+"\n");		
printf("\n"+"Tradable holding:"+"\n"+CategoryGetSymbols( categoryWatchlist,intradaylist,0));

ibc.CancelAllPendingOrders();

//////VOLUME//////
VolGrade=IIf(V/MA(V,100)>2,3,IIf(V/MA(V,100)>=1.5 AND V/MA(V,100)<2,2,IIf(V/MA(V,100)>=0.8 AND V/MA(V,100)<1.5,1,0)));


AddColumn(VolGrade,"Vol grade",1.2);

IBcStatus = ibc.IsConnected();
averageprice=ibc.GetPositionInfo(Name(), "Avg. cost");
/*sp=IIf(VolGrade>=3,averageprice*1.0035,IIf(VolGrade==2,averageprice*1.0025,IIf(VolGrade==1,averageprice*1.0015,averageprice)));
cp=IIf(VolGrade>=3,averageprice*0.9965,IIf(VolGrade==2,averageprice*0.9975,IIf(VolGrade==1,averageprice*0.9985,averageprice)));
sp1=sp>=averageprice*1.0035 OR cp<=averageprice*0.9965;
sp2=(sp<averageprice*1.0035 AND sp>=averageprice*1.0025) AND (cp>averageprice*0.9965 AND cp<=averageprice*0.9975) ;
sp3=(sp<averageprice*1.0025 AND sp>=averageprice*1.0015) AND (cp>averageprice*0.9975 AND cp<=averageprice*0.9985) ;
sp4=(sp<averageprice*1.0015 AND sp>averageprice) AND (cp>averageprice*0.9985 AND cp<averageprice);*/
sp1=VolGrade>=3;
sp2=VolGrade==2;
sp3=VolGrade==1;
sp4=VolGrade==0;

FilterH24=InWatchList(17) AND sp1;
FilterH23=InWatchList(17) AND sp2;
FilterH12=InWatchList(17) AND sp3;
FilterH00=InWatchList(17) AND sp4;

  
 
 listnumH24 = 30; // we use watchlist 11 for storing sell stocks

// erase the watchlist when we process very first symbol
if ( Status( "stocknum" ) == 0 )
{
    // retrieve watchlist members
    oldlist = CategoryGetSymbols( categoryWatchlist, listnumH24);

    // iterate through the list and remove tickers
    for ( i = 0; ( sym = StrExtract( oldlist, i ) ) != ""; i++ )
    {
        CategoryRemoveSymbol( sym, categoryWatchlist, listnumH24 );
    }
}

if ( LastValue( Cum( FilterH24 AND Status( "barinrange" ) ) )  )
    CategoryAddSymbol( "", categoryWatchlist, listnumH24 );

listnumH23 = 31; // we use watchlist 11 for storing sell stocks

// erase the watchlist when we process very first symbol
if ( Status( "stocknum" ) == 0 )
{
    // retrieve watchlist members
    oldlist = CategoryGetSymbols( categoryWatchlist, listnumH23);

    // iterate through the list and remove tickers
    for ( i = 0; ( sym = StrExtract( oldlist, i ) ) != ""; i++ )
    {
        CategoryRemoveSymbol( sym, categoryWatchlist, listnumH23);
    }
}

if ( LastValue( Cum( FilterH23 AND Status( "barinrange" ) ) )  )
    CategoryAddSymbol( "", categoryWatchlist, listnumH23);


    
 listnumH12 = 32; // we use watchlist 11 for storing sell stocks

// erase the watchlist when we process very first symbol
if ( Status( "stocknum" ) == 0 )
{
    // retrieve watchlist members
    oldlist = CategoryGetSymbols( categoryWatchlist, listnumH12);

    // iterate through the list and remove tickers
    for ( i = 0; ( sym = StrExtract( oldlist, i ) ) != ""; i++ )
    {
        CategoryRemoveSymbol( sym, categoryWatchlist, listnumH12);
    }
}

if ( LastValue( Cum( FilterH12 AND Status( "barinrange" ) ) )  )
    CategoryAddSymbol( "", categoryWatchlist, listnumH12);   

 listnumH00 = 33; // we use watchlist 11 for storing sell stocks

// erase the watchlist when we process very first symbol
if ( Status( "stocknum" ) == 0 )
{
    // retrieve watchlist members
    oldlist = CategoryGetSymbols( categoryWatchlist, listnumH00);

    // iterate through the list and remove tickers
    for ( i = 0; ( sym = StrExtract( oldlist, i ) ) != ""; i++ )
    {
        CategoryRemoveSymbol( sym, categoryWatchlist, listnumH00);
    }
}

if ( LastValue( Cum( FilterH00 AND Status( "barinrange" ) ) )  )
    CategoryAddSymbol( "", categoryWatchlist, listnumH00); 


 
Range = 10; 
//Filter= ((FilterB+FilterS)==1) AND  Filt1 AND !Name()=="$NDX" ;
Filter= (filterb +filters)>0 AND  !Name()=="$NDX" ;
AddColumn(C,"Price",1.2);